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The volatility of equity and foreign exchange market is an important input to portfolio selection and to asset pricing models. Many investment decisions and valuation of derivatives frequently rely on predictions of volatility. In this paper we review the existing empirical literature in...
Persistent link: https://www.econbiz.de/10013122403
Prediction of future movement of stock prices has been a subject matter of many research work. There is a gamut of literature of technical analysis of stock prices where the objective is to identify patterns in stock price movements and derive profit from it. Improving the prediction accuracy...
Persistent link: https://www.econbiz.de/10014094821
present value theory. Long-term government bond yields exhibit predictive power over all horizons from one month through five …
Persistent link: https://www.econbiz.de/10013238244
We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...
Persistent link: https://www.econbiz.de/10008990694
measurement and forecasting of variance, covariance, correlation and Capital Asset Pricing Model (CAPM) beta. This paper studies … CAPM beta measurement and forecasting with high frequency returns and evaluates trade-offs between bias and variability …
Persistent link: https://www.econbiz.de/10012848006
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...
Persistent link: https://www.econbiz.de/10012966247
-term contracts. On the other hand, recent focus is on whether long memory can affect the measurement of market risk in the context of … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long … Value-at-Risk (V aR). In this paper, we evaluate the Value-at-Risk (VaR) and Expected Shortfall (ESF) in financial markets …
Persistent link: https://www.econbiz.de/10012966258
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...
Persistent link: https://www.econbiz.de/10003633787
-term contracts. On the other hand, recent focus is on whether long memory can affect the measurement of market risk in the context of … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long … Value-at- Risk (V aR). In this paper, we evaluate the Value-at-Risk (V aR) and Expected Shortfall (ESF) in financial markets …
Persistent link: https://www.econbiz.de/10003636008
In this paper we show that the MSCI ACWI Metals and Mining Index has the ability to predict base metal prices. We use both in-sample and out-of-sample exercises to conduct such examination. The theoretical underpinning of these results relies on the present-value model for stock-price...
Persistent link: https://www.econbiz.de/10013226962